嗨,爱思考的PZer你好:
同学你好,关于问题1,其实咱们原版书有相关表述:As with the Sharpe ratio, the typical convention is to annualize both the active return and the active risk. The information ratio can refer to the investor’s ex ante, or forecasted, active return, in which case the numerator in Equation 6 would be replaced by the expected returns—that is, E(RA) = E(RP) – E(RB). Alternatively, the calculation of an ex post, or historical, information ratio would use realized average active returns and the realized sample standard deviation of the active return.
就是它本身也是衡量事前风险的。从另一个角度其实他的分母也是期望值,分子分母是要一致。
关于你的第二个问题,其实要借鉴下咱们其他章节的内容,方差是衡量投资组合偏离benchmark的程度,所以也可以认为是求偏离程度的均值。希望可以帮到你
-------------------------------虽然现在很辛苦,但努力过的感觉真的很好,加油!